The RATS Software Forum

Hello Tom, They are all expressed in USD but I see the essence of what you have said. Please see the attached picture which is unmarked but each diagram shows two indices from one GCC country. Note that I have indexed all of the series over the sample period and although this may not be strictly cor...

Hello Tom, Thanks for your reply. Yes, my data includes a group of 12 indices from the GCC economies. The problem is that when I test for cointegration using the Johansen test the results suggest no cointegration whatsoever. Following this result I conducted tests for structural breaks as breaks can...

Hello, I am very new to RATS so please accept my apologies in advance if this question is too simplistic. I am studying whether a group of emerging stock-markets are cointegrated over the period 2012-2016 using daily data. Having performed the Bai-Perron multiple break tests I found that there are a...